NGL Options History — September 2020

In September 2020, NGL traded between $3.50 and $4.17. ATM implied volatility averaged 75.4%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 24.7% (HV 20d: 50.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2020-09-29: Highest Volume — 441 contracts
  • 2020-09-03: Largest IV spike — 46.3% change
  • 2020-09-08: Highest IV Rank — 34.3%
  • 2020-09-22: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.73$3.50$4.17$4.17$3.94
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV75.4%50.3%109.8%58.2%66.7%
Expected Move21.3%14.4%28.4%16.7%19.1%
HV 20d50.7%43.3%64.6%63.9%48.0%
HV 60d83.6%71.8%97.6%97.6%72.5%
IV Rank21.4%12.0%34.3%15.0%18.1%
IV Percentile54.3%44.0%73.8%48.8%45.2%
Term Structure7.1%-9.1%34.6%32.4%23.5%
VWIV72.3%51.7%92.2%53.3%60.0%
Skew 25d12.7%-77.9%71.3%-10.3%24.8%
Skew 10d12.6%-93.5%61.5%8.0%24.8%
Call IV 25d70.7%48.0%153.5%78.3%59.1%
Put IV 25d83.3%63.2%126.2%68.0%83.9%
Bid-Ask Spread %21.726.7764.6364.638.87
Gamma HHI0.360.320.440.440.38
Net GEX4.4K3.0K7.6K7.6K4.3K
Net DEX213.7K-66.1K380.8K-66.1K362.1K
Net VEX-3.3K-4.3K-2.3K-4.3K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.004.750.420.05
Total Volume162.47622441259171
Total OI13,202.52412,72813,62712,72813,225

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$4.17$5.0058.2%16.7%63.9%15.0%53.3%-10.3%32.4%7.6K-66.1K-4.3K0.4264.63N/AN/A182778,2314,497
2020-09-02$4.07$5.0050.3%14.4%64.2%12.0%0.0%-15.3%34.0%5.4K61.2K-3.9K1.2563.10N/AN/A1021278,3534,504
2020-09-03$3.95$5.0073.6%23.0%64.6%20.7%83.3%-9.2%-0.6%4.6K99.2K-3.6K4.7514.56N/AN/A241148,3814,615
2020-09-04$3.93$5.0075.4%24.0%64.6%21.4%85.5%-12.0%0.6%4.7K119.7K-3.7K0.0736.09N/AN/A10478,3724,677
2020-09-08$3.75$5.00109.8%20.8%58.7%34.3%79.2%-2.3%1.9%4.2K226.4K-3.7K0.1535.21N/AN/A92148,4364,682
2020-09-09$3.74$5.0069.1%19.8%44.9%19.0%81.6%-7.3%5.6%4.1K246.5K-3.6K0.0012.24N/AN/A10508,4534,695
2020-09-10$3.54$5.0088.0%25.2%46.3%26.1%54.7%57.3%8.3%4.1K276.9K-3.7K0.0245.78N/AN/A8328,5544,691
2020-09-11$3.51$5.0067.7%19.4%44.8%18.5%0.0%23.3%-2.3%3.0K380.8K-2.8K0.6011.84N/AN/A100608,6194,691
2020-09-14$3.67$5.0069.1%19.8%48.8%19.1%66.1%23.6%-5.7%4.7K208.8K-3.8K0.0434.06N/AN/A23198,6884,701
2020-09-15$3.66$5.0065.4%18.7%46.3%17.7%51.7%8.9%8.4%3.8K305.4K-2.9K0.006.77N/AN/A2208,8194,710
2020-09-16$3.77$5.0061.2%17.5%48.0%16.1%76.4%63.8%34.6%5.7K77.2K-4.2K0.2534.53N/AN/A52138,8414,710
2020-09-17$3.73$5.0073.2%21.0%46.7%20.6%63.8%21.0%5.6%4.5K279.4K-2.8K0.679.70N/AN/A15108,8904,722
2020-09-18$3.59$5.0069.1%19.8%47.4%19.1%65.0%15.3%4.6%3.6K317.5K-2.9K0.5110.37N/AN/A39208,8954,732
2020-09-21$3.50$5.0096.3%27.6%47.8%29.2%72.8%60.1%-2.3%4.5K184.8K-3.5K0.509.96N/AN/A139708,3004,477
2020-09-22$3.57$5.0099.1%28.4%47.0%30.2%77.0%67.4%-1.6%5.0K118.6K-3.7K1.118.81N/AN/A1501668,4314,556
2020-09-23$3.50$5.0078.1%22.4%47.2%22.4%85.2%13.9%20.1%3.5K259.6K-3.0K0.2412.03N/AN/A237568,4924,662
2020-09-24$3.54$5.0098.8%28.3%47.5%30.2%63.1%71.3%0.0%4.9K196.0K-3.5K0.0011.14N/AN/A6308,5454,667
2020-09-25$3.57$5.0074.8%21.4%43.3%21.2%89.3%22.3%-4.5%3.5K242.2K-3.1K0.558.81N/AN/A71398,5864,667
2020-09-28$3.70$5.0071.5%20.5%44.0%19.9%73.3%-77.9%-3.8%3.2K317.5K-2.3K0.158.79N/AN/A178278,6394,666
2020-09-29$3.92$5.0068.0%19.5%49.9%18.7%92.2%-72.7%-9.1%4.0K274.5K-2.5K0.068.79N/AN/A415268,5164,665
2020-09-30$3.94$5.0066.7%19.1%48.0%18.1%60.0%24.8%23.5%4.3K362.1K-2.5K0.058.87N/AN/A16388,5464,679